On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion

Boyer, Denis and Dean, David S. and Mejia-Monasterio, Carlos and Oshanin, Gleb (2013). On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion. "Physical Review e" (n. 87); pp. 1-4. ISSN 1539-3755. https://doi.org/10.1103/PhysRevE.87.030103.

Description

Title: On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion
Author/s:
  • Boyer, Denis
  • Dean, David S.
  • Mejia-Monasterio, Carlos
  • Oshanin, Gleb
Item Type: Article
Título de Revista/Publicación: Physical Review e
Date: January 2013
ISSN: 1539-3755
Subjects:
Faculty: E.T.S.I. Agrónomos (UPM) [antigua denominación]
Department: Ingeniería Rural [hasta 2014]
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

We analyse a class of estimators of the generalized diffusion coefficient for fractional Brownian motion Bt of known Hurst index H, based on weighted functionals of the single time square displacement. We show that for a certain choice of the weight function these functionals possess an ergodic property and thus provide the true, ensemble-averaged, generalized diffusion coefficient to any necessary precision from a single trajectory data, but at expense of a progressively higher experimental resolution. Convergence is fastest around H ? 0.30, a value in the subdiffusive regime.

More information

Item ID: 29439
DC Identifier: http://oa.upm.es/29439/
OAI Identifier: oai:oa.upm.es:29439
DOI: 10.1103/PhysRevE.87.030103
Official URL: http://journals.aps.org/pre/abstract/10.1103/PhysRevE.87.030103
Deposited by: Memoria Investigacion
Deposited on: 12 Jun 2014 17:20
Last Modified: 17 Dec 2018 06:59
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